BetaCoKurtosis     package:PerformanceAnalytics     R Documentation

_s_y_s_t_e_m_a_t_i_c _k_u_r_t_o_s_i_s _o_f _a_n _a_s_s_e_t _t_o _t_h_e _i_n_i_t_i_a_l _p_o_r_t_f_o_l_i_o

_D_e_s_c_r_i_p_t_i_o_n:

     Beta CoKurtosis is the beta of an asset to the kurtosis of an
     initial portfolio.  Used to determine diversification potential.
     Also called "systematic kurtosis" or "systematic cokurtosis" by
     several papers.

_U_s_a_g_e:

     BetaCoKurtosis( Ra, Ri, na.rm = FALSE, method = c("moment", "excess", "fisher"))

_A_r_g_u_m_e_n_t_s:

      Ra: return vector of asset being considered for addition to
          portfolio 

      Ri: return vector of initial portfolio 

   na.rm: TRUE/FALSE Remove NA's from the returns? 

  method: method to use when computing 'kurtosis' one of: 'excess',
          'moment', 'fisher' 

_D_e_t_a_i_l_s:


 K_{a,b}=frac{CoK_{a,b}}{S_{a}}=frac{sum((R_{a}-bar{R_{a}})(R_{b}-bar{R_{b}})^{3})}{sum(R_{a}-bar{R_{a}})^{4}}{BCoK(Ra,Rb)=CoK(Ra,Rb)/kurtosis(Ra)}

_V_a_l_u_e:

     systematic kurtosis of two assets

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Brian G. Peterson

_R_e_f_e_r_e_n_c_e_s:

     Martellini L., Vaissie M., Ziemann V., October 2005. Investing in
     Hedge Funds: Adding Value through Active Style Allocation
     Decisions. Edhec Risk and Asset Management Research Centre

_S_e_e _A_l_s_o:

     'CoKurtosis' 'kurtosis'

_E_x_a_m_p_l_e_s:

